 Following his time in Spain, reports showed that he travelled to Moscow because of interest from Russian Premier League clubs Lokomotiv Moscow and Anzhi Makhachkala.On 25 July 2011, Caicedo signed a four-year contract with Lokomotiv Moscow for a fee of €7.5 million and was handed the number 25 jersey.Previously, Lokomotiv Moscow tried to sign Caicedo in the Winter Transfer Window at Russia before it closed on 10 March 2011 after Lokomotiv Moscow failed to sign Stuttgart's striker Ciprian Marica.